Should I in general always unwrap my entire object in one UV map?
A couple of screenshots would go a long way in helping you explain your situation.

I'm going to guess that you have a lot of unnecessary polygons on your models. If you want your game to run smoothly or not require excessive computing power, you're going to want to optimize your models by reducing the vertex/face count.

If you insert a vertex into a side of a quad but don't do anything with it, this is no longer a quad. Extra vertices can cause shading errors and other problems when using modifiers down the line. Removing these extra vertices also helps optimize your model.

As far as the more specific questions about the game asset workflow, try searching up for "Blender game asset creation tutorials." They'll be much clearer.